Machine learning feature selection methods are needed to detect complex interaction-network effects in complicated modeling scenarios in high-dimensional data, such as GWAS, gene expression, eQTL, and structural/functional neuroimage studies for case-control or continuous outcomes. In addition, many machine learning methods have limited ability to address the issues of controlling false discoveries and adjusting for covariates. To address these challenges, we develop a new feature selection technique called Nearest-neighbor Projected-Distance Regression (NPDR) that calculates the importance of each predictor using generalized linear model (GLM) regression of distances between nearest-neighbor pairs projected onto the predictor dimension. NPDR captures the underlying interaction structure of data using nearest-neighbors in high dimensions, handles both dichotomous and continuous outcomes and predictor data types, statistically corrects for covariates, and permits statistical inference and penalized regression. We use realistic simulations with interactions and other effects to show that NPDR has better precision-recall than standard Relief-based feature selection and random forest importance, with the additional benefit of covariate adjustment and multiple testing correction. Using RNA-Seq data from a study of major depressive disorder (MDD), we show that NPDR with covariate adjustment removes spurious associations due to confounding. We apply NPDR to eQTL data to identify potentially interacting variants that regulate transcripts associated with MDD and demonstrate NPDR's utility for GWAS and continuous outcomes.